The Global.asax file,also known as the ASP.NET application file,is an optional file that contains code for responding to application-level and session-level events raised by ASP.NET or by HTTP modules. The Global.asax file resides in the root directory of an ASP.NET application. At run time,Global.asax is parsed and compiled into a dynamically generated .NET Framework class derived from the HttpApplication base class. ASP.NET is configured so that any direct URL request for the Global.asax file is automatically rejected; external users cannot download or view the code in it.
The Global.asax file is optional. You create it only if you want to handle application or session events.

(MSDN http://msdn.microsoft.com/en-us/library/2027ewzw%28v=vs.100%29.aspx)